Nikkei High Yield REIT Index

Index Guidebook

Nikkei Inc.

・ This document is the index guidebook of the Nikkei High Yield REIT Index
calculated and published by Nikkei Inc. (Nikkei). The document is drawn up by
Nikkei and it would be changed or modified corresponding to the revision of theindex calculation rule etc. ;・ Copyright of this document is owned by Nikkei, and any copies , reprints andreproduction of this document are prohibited without the prior approval of Nikkei.
This document is prepared solely for the understanding of the index that Nikkei
calculates and publishes, and it is not to be construed as a solicitation or a n offer
to buy or sell any securities or related financial instruments.
・ This English document is a translation of the original document and may not be
an entirely accurate translation of the original Japanese document. In any casewhere differences arise between the English version and the original Japaneseversion, the original Japanese document will prevail.

(July 20, 2020 version)

GB-HYR-E-20200720

1: Introduction“Nikkei High Yield REIT Index” is a REIT index comprised of high yield REITs
calculated by “Market Cap multiplied by Yield Weight” Methodology.

2: Name(Japanese)
Official(English)
Official： 日 経 高 利 回 り REIT 指 数： Nikkei High Yield REIT Index

3: Constituents Management(1) Basic Point
The number of constituents of the Nikkei High Yield REIT Index is 35 in principle.
The Periodic Review is conducted at the end of May every year. The index may be
calculated with less than 35 constituents due to Extraordinary Removals during theyear. New constituents will not be added unless they become below 30. The number
will be back to 35 at the Periodic Review.
(2) Universe
The index constituents are selected from the REITs listed on the Tokyo Stock
Exchange (TSE). The REITs that have been listed for less than 2 months or are
assigned to “Security to be delisted” are not included in the universe.
(3) Periodic Review
・ The Base Date of the Periodic Review shall be the final business day of April ofeach year. After 2021, the 35 constituents shall be selected by the processdescribed below and the constituent change shall be effective on the final
business day of May. The constituent change on the Periodic Review will beannounced with sufficient advance notice period before the effective date.
・ The Periodic Review shall be conducted by the following procedure.
① As of the base date, the REITs in the universe are ranked by the liquidity(average daily trading values for one year ) in descending order, and thoseranked below 50 are excluded. However, current constituent ranked below
50 will not be excluded if its trading value is more than 50% of the average
trading value of the 50th REIT.

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2② After liquidity exclusion above, if the number of the constituent s is lessthan 35, the non-constituent REIT with highest Expected Dividend Yield(based on the Nikkei’s forecasts, adjusted to 12-month basis) shall be
added sequentially so that the number becomes 35.
③ If the difference of expected yields between a constituent with the lowest
Expected Dividend Yield and a non-constituent with the highest Expected
Dividend Yield is more than 0.5 percent points, such constituent shall bereplaced by high yield non-constituent.
④ Repeat step ③ until no REIT meets the criteria.
However, in the step ② to ④ , Nikkei will not adopt REITs which Expected
Dividend Yield become high due to extraordinary reasons such as sharp drop in
their market prices. Also, those scheduled to be delisted are not adopted. When
the REITs have the same Expected Dividend Yield, the REIT with higher liquidity(average daily trading values for one year) will become chosen.
(4) Extraordinary Removal/Replacement
・ In case that constituent REIT is designated as “Securities to be delisted”, suchconstituent will be deleted after five business days from the designated date.
・ In case that constituent REIT is delisted due to merger, etc., such constituent isdeleted on the delisting date.
・ On the final business day of each month (except April), level of Expected
Dividend Yield of constituent REITs is accessed. If there is a constituent withExpected Dividend Yield less than half of the simple average of all listed REITs ,such constituent will be removed on the 7 th business day of the following month.
・ Unless the Extraordinary Removals result in less-than 30 constituents, newconstituent will not be added.
・ If it becomes apparent that the number of the constituents becomes less than 30,
new constituents shall be added so that the number becomes 30. New constituent
is determined based on the ranking of Expected Dividend Yield with the final
business day of the last month as the Base Date. In case that REITs have the same
Expected Dividend Yield, the one with higher liquidity (average daily trading
values for one year) will be chosen.
・ Additions will be announced with a sufficient advance notice period before theeffective date.

(5) Constituents in the past and on the launch date・ With regards to the constituents used for the retroactive index calculations (see4-(7) below), for the years before 2020, Nikkei chose 35 constituents with highest
Expected Dividend Yields out of the 50 most liquid REITs (in terms of average
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daily trading value for the past year) on the Base Date. Constituents were changedon the final business day of the following month. In case that REITs have thesame Expected Dividend Yield, the REIT with higher liquidity (average daily
trading values for one year) was added. The rule of the Extraordinary
Replacements described in the above (4) was applied.

4： Index Calculation(1) Basic Point
・ The index is calculated by Market Capitalization × Yield weight methodology.
・ The index level on May 30 2014, the Inception Date, is 1,000.
・ The unit of the index is “points”. 3rd digit under the decimal is rounded to makethe index have 2 digits under the decimal point.
・ Calculated on an end-of-day basis, using the prices of the Tokyo Stock Exchange.
(2) Calculation Formula・ The daily index value shall be calculated by the following formula.

Index value＝ Σ {Share price × Weight Factor} / Divisor(3) Share price・ Prices used for the calculation are selected in the following order of priority.
① Special Quote or sequential trade quote、 ② Closing price、 ③ Base price(The base price is obtained based on the priority order of ex -rights theoreticalprice, the last special quote price or sequential trade quote price on the pre vious
day, and the closing price on the previous day. )(4) Weight Factor
・ The Weight Factor shall be determined on the Base Date of the Periodic Review
by the following formula. It is an integer number, truncating under the decimal
point.

Weight Factor＝ Number of issued shares ×Expected Dividend Yield ×100

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① Expected Dividend Yield (%)
The Expected Dividend Yield shall be calculated by dividing theexpected dividend (for stocks with 6-month settlement, use 6-month
dividend multiplied by two) per share on the Base Date by the shareprice on the same day. The dividend yield for the index calculation iscapped at 5%, which means that the yield exceeding 5% is changed to5%. The unit of the figures is percent (%) and it is rounded down at
two places under the decimal, truncating after the third decimal points.
② Weight Cap
At the timing of the Periodic Review, in determining the Weight Factor
by the above method, if the weight of a constituent exceeds 5%, theWeight Factor shall be adjusted so that the weight is within 5%.
③ Split or reverse split of a constituent
After the Weight Factors are assigned, if a constituent goes a stock
split or reverse split, the Weight Factor shall be adjusted
corresponding to the ratio of the split o r reverse split on the ex-date.
・ In case that the number of the constituents is known to become below 30 and a
new constituent will be added, the Weight Factor of a new constituent shall bedetermined by the data on the Base Date used for the selection process while theWeight Factors of the other constituents, i.e. those which continue to beconstituents, remain unchanged.
(5) Divisor
・ The Divisor on May 30 th 2014, the Inception Date is determined by thefollowing formula.
Divisor＝ Σ {Share prices × Weight Factor on the Inception Date} / 1000
・ After the Inception Date, the Divisor will be changed every time when theindex constituents are changed by using the following formula.
Divisor tomorrow＝ Divisor today× (Σ {base prices next day of the index constituents for the next day× Weight Factor for the next day})/ (Σ {base prices today of the today’s constituents× today’s Weight Factor})

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5・4th digit is rounded to make the Divisor have 3 digits under the decimal point.

(6) Modification of the index value
・ If an event which necessitates modification of the index value becomes known,such event will be reflected in the first calculation of the index after such event
is known. Past index value is not modified in principle.

(7) Retroactive calculation in the past・ The index is retroactively calculated to the Inception Date (May 30 th
2014=1,000) on an end-of-day basis.
・ The constituents used for the retroactive calculation are determined as describedin 3-(5).

5: Others(1) Total Return Index calculation
Nikkei calculates “Nikkei High Yield REIT Index (Total Return)”and “Nikkei
High Yield REIT Index (Net Total Return)”as the related indexes of the “Nikkei
High Yield REIT Index” by adding the dividends and the net dividends excluding
taxes respectively. These indexes are calculated on an end -of-day basis.
The basic points for the total return calculation such as the method to incorporate
dividends conform to the Nikkei 225 Total Return Index and the Nikkei 225 Net
Total Return Index.
(2) Index License”Nikkei High Yield REIT Index” is a copyrighted material calculated in amethodology independently developed and created by Nikkei Inc. Nikkei Inc. is thesole exclusive owner of the copyright and other intellectual property rights in theNikkei High Yield REIT Index itself and the methodology to calculate the Nikkei
High Yield REIT Index. Licensing agreement with Nikkei is necessary if companies
intend to create Index - linked funds and passive funds, etc. It is also required touse this index for disseminating, providing, and showing, etc. to the third part y in
the way as Nikkei decides.
(3) Disclaimer
Nikkei has no obligation to publish the Nikkei High Yield REIT Index

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continuously, and Nikkei is not responsible for any error, delay or omission in theNikkei High Yield REIT Index. Nikkei is entitled to change the details of the Nikkei
High Yield REIT Index and to suspend or stop the calculation and the announcementof the index.
Although, in principle, the Nikkei High Yield REIT Index is calculated andmaintained in accordance with the information provided here, Nikkei has discretion
to take measures Nikkei deems appropriate when the events which are not coveredin this document happen or under the circumstances where it is difficult to continue
to calculate the index using the current rules . In addition, the specifications
described may be amended without notice. Nikkei does not assume any loss ordamage caused by the use of this document.
This English document may not be an entirely accurate translation of the original
Japanese document. In any case where differences arise between the En glish version
and the original Japanese version, the original Japanese document will prevail.

(4) ContactIndex Business Office, Nikkei Inc.
Tel: +813-6256-7341, mail: index@nex.nikkei.co.jp

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